It definitely is cheaper, but pan roasting coffee on a stove can take quite a bit of time, is a fire-hazard, and causes quite a bit of irritating smoke and fumes for a few days. It sure tastes good though.
it does generate lots of smoke, so be sure to do it outside.
My girlfriend's dad uses his to roast coffee and swears by it. I don't drink coffee myself (can't stand the smell) so I can't give an opinion.